Munich Personal RePEc Archive

On Discounted Dynamic Programming with Unbounded Returns

Matkowski, Janusz and Nowak, Andrzej S. (2008): On Discounted Dynamic Programming with Unbounded Returns.

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Abstract

In this paper, we apply the idea of $k$-local contraction of \cite{zec, zet} to study discounted stochastic dynamic programming models with unbounded returns. Our main results concern the existence of a unique solution to the Bellman equation and are applied to the theory of stochastic optimal growth. Also a discussion of some subtle issues concerning k-local and global contractions is included.

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